If however you are faced with wanting to get a really good landscape on a cloudy or overcast day there are two ways to go about it. Set your digital camera to raw, if it has a raw mode, and process the image on your pc. If you want a more dramatic impact take several pictures and process them with HDR software. For the best, most dramatic results shoot in raw and then process with HDR software.
So what exactly is HDR? High Dynamic Range imaging in a nutshell is a process where you take a minimum of three pictures, one perfectly exposed, one over exposed and one under exposed - usually by one stop. To ensure that each image overlaps perfectly your camera should be mounted on a tripod. You will also want some form of remote shutter release or alternative use a 2 second timed delay to avoid camera movement. If there is any movement of the subject you are photographing the images will not map properly. This means that HDR is usually reserved for Landscapes or scenes with no movement.
If you want to capture your child or grandchild running around then trying to use the normal HDR techniques is a waste of time. Having said that you can still process a pseudo HDR image of your child running around by shooting in camera raw mode. You then process the raw picture to create 3 copies, one perfectly exposed, one under exposed and one over exposed. The three images can now be processed using HDR software, usually the results are quite good all be it not true HDR.
HDR really comes into its own when photographing landscape type pictures but it is worth remembering that since you will be taking three identical pictures in terms of image mapping so if there are trees in the scene, and it is windy day, it could affect your final image even at the highest shutter speeds.
There are lots of software packages around which allow you to process HDR images and do tone mapping. Photomatix, FDR Tools, DynamicHDR and EasyHDR are some of the more popular packages and most have a try before you buy facility. I always recommend trying a software package before you buy to make sure it meets all your requirements and more importantly you find it easy to use!